Another reason to shoot in RAW:

You can convert a RAW file to HDR, and it's pretty close.

The first one is a 5 exposure HDR, bracketed using a 10 second timer on a Rebel XT, the second is from a single RAW (from the Rebel XT)

These were tonemapped in Photomatix, using the same settings.

5exp

Flickr Page

RAW

Flickr Page

Cloud position is different between them because of the 10 second timer, there was about a minute between the first and last shots, because this is a loaner camera and I couldnt figure out how to reduce the self timer to a more reasonable length, otherwise the skies would be closer to the same.